Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3380 |
| Annualized Std Dev | 0.5696 |
| Annualized Sharpe (Rf=0%) | -0.5935 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3544.0000 |
| NAs | 1.0000 |
| Minimum | -0.3801 |
| Quartile 1 | -0.0170 |
| Median | -0.0021 |
| Arithmetic Mean | -0.0010 |
| Geometric Mean | -0.0016 |
| Quartile 3 | 0.0141 |
| Maximum | 0.2545 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0022 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0013 |
| Stdev | 0.0359 |
| Skewness | -0.0258 |
| Kurtosis | 10.1581 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0248 |
| Gain Deviation | 0.0282 |
| Loss Deviation | 0.0258 |
| Downside Deviation (MAR=210%) | 0.0298 |
| Downside Deviation (Rf=0%) | 0.0253 |
| Downside Deviation (0%) | 0.0253 |
| Maximum Drawdown | 0.9985 |
| Historical VaR (95%) | -0.0521 |
| Historical ES (95%) | -0.0817 |
| Modified VaR (95%) | -0.0529 |
| Modified ES (95%) | -0.0686 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-17 | NA | -0.9985 | 3091 | 3088 | NA |
| 2007-03-06 | 2008-06-18 | 2008-10-06 | -0.6324 | 402 | 326 | 76 |
| 2008-10-28 | 2008-11-04 | 2008-11-20 | -0.4286 | 18 | 6 | 12 |
| 2008-10-13 | 2008-10-20 | 2008-10-24 | -0.2784 | 10 | 6 | 4 |
| 2007-02-12 | 2007-02-26 | 2007-03-02 | -0.0985 | 14 | 10 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 2.4 | 0.8 | 1.8 | -1.5 | -1.2 | 0.7 | -3.3 | -3.4 | 6.7 | -1.1 | 1.9 | 3.5 |
| 2008 | -5.4 | 7.2 | -4.6 | 1.5 | -2.5 | 2.3 | 5.3 | 1.8 | 3.3 | -2.9 | 19.8 | -3.4 | 21.9 |
| 2009 | 7.5 | 0.7 | -7.5 | -3.3 | -8.6 | 0 | -2.9 | 5.5 | 7.9 | 7.6 | -3.2 | 2.7 | 4.7 |
| 2010 | -8.9 | -4 | -4.1 | 4.4 | 7.9 | 1.7 | -1.4 | -6.7 | -3 | -0.4 | -5.4 | -0.2 | -19.4 |
| 2011 | -5.9 | 4.4 | -0.5 | -1.3 | 6.1 | -2.1 | 0.5 | 3.1 | 7.7 | 5.6 | 1.2 | -0.2 | 19.3 |
| 2012 | -2.8 | -1.5 | -0.8 | -1.3 | 4.2 | -6 | 0.4 | -2.4 | -1 | -5 | -0.1 | -4.2 | -19.1 |
| 2013 | -1.9 | 1.1 | 2.7 | 4.3 | 2.4 | -1.6 | -1.3 | 0.5 | -1 | 0.3 | -0.1 | -0.7 | 4.6 |
| 2014 | 1 | -0.6 | -1.4 | 0.9 | 0.3 | -0.6 | -0.1 | -0.5 | 4.7 | -4 | 2.3 | 1.9 | 3.8 |
| 2015 | 0.3 | 0.4 | 0.3 | -3.1 | 1.3 | -0.3 | 0.7 | 6.5 | -1.7 | -0.5 | -1.2 | 1.4 | 3.8 |
| 2016 | -0.6 | -4.7 | -1.2 | 0.7 | -0.7 | -0.8 | 0.9 | -0.5 | -1.5 | 1.2 | 0.2 | 1.5 | -5.5 |
| 2017 | -0.9 | -3.9 | 0 | 0.2 | -3.1 | -1 | -0.3 | -1 | -0.2 | -0.8 | 1.9 | 0.1 | -8.7 |
| 2018 | 2.9 | 2.4 | -3.7 | 2.4 | -1.7 | -1.1 | 2.4 | 0.4 | 1.7 | -6.6 | 0.1 | -0.7 | -1.9 |
| 2019 | -1 | 0.3 | -3.2 | 3.7 | 2.8 | -1 | 2.2 | -1.2 | 4.7 | -3.3 | 0.9 | -1.5 | 2.9 |
| 2020 | 4.2 | 4.5 | 8.9 | 5.3 | -1.6 | 0.9 | -0.8 | -4.5 | 2.8 | 0.9 | -2.3 | -0.6 | 18.4 |
| 2021 | -2.9 | -4.5 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 2696. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 2725. SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 2710. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-08 2694. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
5 2007-02-09 2729. SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
6 2007-02-12 2709. SPY 143. -3.40e-3 -0.0097 0.0091 0.0327 0.135 0.249 0.303 GLD 65.7 -0.0068 0.0211
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
